BGVAR
Bayesian Global Vector Autoregressions
Estimation of Bayesian Global Vector Autoregressions (BGVAR) with different prior setups and the possibility to introduce stochastic volatility. Built-in priors include the Minnesota, the stochastic search variable selection and Normal-Gamma (NG) prior. For a reference see also Crespo Cuaresma, J., Feldkircher, M. and F. Huber (2016) "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach", Journal of Applied Econometrics, Vol. 31(7), pp. 1371-1391 doi:10.1002/jae.2504. Post-processing functions allow for doing predictions, structurally identify the model with short-run or sign-restrictions and compute impulse response functions, historical decompositions and forecast error variance decompositions. Plotting functions are also available. The package has a companion paper: Boeck, M., Feldkircher, M. and F. Huber (2022) "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R", Journal of Statistical Software, Vol. 104(9), pp. 1-28 doi:10.18637/jss.v104.i09.
- Version2.5.8
- R version≥ 3.5.0
- LicenseGPL-3
- Needs compilation?Yes
- Languageen-US
- BGVAR citation info
- Last release09/30/2024
Documentation
Team
Maximilian Boeck
Darjus Hosszejni
Show author detailsRolesContributorMartin Feldkircher
Florian Huber
Insights
Last 30 days
This package has been downloaded 674 times in the last 30 days. This could be a paper that people cite without reading. Reaching the medium popularity echelon is no small feat! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 14 times.
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Last 365 days
This package has been downloaded 10,042 times in the last 365 days. That's enough downloads to make it mildly famous in niche technical communities. A badge of honor! The day with the most downloads was Oct 02, 2024 with 123 downloads.
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Dependencies
- Imports13 packages
- Suggests2 packages
- Linking To6 packages